The majority of the names on the list are small caps.

Short interest levels for the end of September were released by the major exchanges this week, so in the table below we have updated our list of the S&P 1500's most heavily shorted stocks (>25% short interest). As shown in the table, the majority of the names on the list are small caps. In fact, the 10 most heavily shorted stocks are all from the S&P 600 (INDEXSP:SP600) small cap index. Of the 11 names on the list that are not in the small cap index, eight are from the mid cap index, while just three (Cliffs Natural Resources (NYSE:CLF), JC Penney (NYSE:JCP), and United States Steel (NYSE:X)). are in the large cap S&P 500 Index (NDEXSP:.INX).

For each of the names listed below, we have also shown the performance of each stock since the end of September. While short sellers have been having a rough go of it so far this year, they have caught a bit of a break so far this month. As shown in the table, 19 of the 32 names on the list are down, led lower by Liquidity Services (NASDAQ:LQDT), Rubicon Technology (NASDAQ:RBCN), Blyth (NYSE:BTH), and CorinthianColleges (NASDAQ:COCO) which are all down more than 10% already this month. Overall, the average return of the 32 stocks shown is a loss of 1.10%, which is 200 bps behind the performance of the S&P 500's gain of 0.90%.